FE680 Advanced Derivatives
Course Catalog Description
Introduction
| Campus | Fall | Spring | Summer |
|---|---|---|---|
| On Campus | X | X | |
| Web Campus | X | X |
Instructors
| Professor | Office | |
|---|---|---|
Dragos Bozdog
|
dbozdog@stevens.edu | Babbio 429A |
Cristian Pasarica
|
Cristian.Pasarica@jpmorgan.com |
More Information
Course Description
This course will address practical and theoretical issues for interest rate models, credit models, and hybrid instruments.
In the first part of the course we will discuss the methodology and principles behind Interest rate models: Hull White , HJM, Markovian HJM models. Mortgage derivatives and prepayment models will be discussed as an application of the interest rates models.
The second part of the course will be focused on credit models: building discount curves for credit models estimation of default probability and credit spread from equity prices. We will discuss Gaussian copula model, base correlation and CVA. Hybrid Securities will be introduced and modeling issues will be discussed.
Course Resources
Textbook
Antoon Pelsser, Efficient Methods for Valuing Interest Rate Derivatives, Springer
Dominic O'Kane, Modelling Single-name and Multi-name Credit Derivatives, Wiley
(ISBN: 978-0-470-51928-8)
Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds and Bail-In, Wiley (ISBN: 978-1-118-44999-8)
Additional References
John Hull. Options, Futures, and Other Derivatives. 2012. Eighth Edition. Prentice Hall. ISBN: 978-0132164948
Grading
Grading Policies
Assignments 40%
Midterm 30%
Final 30%
Lecture Outline
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